Stochastic Stein Discrepancies

Stein discrepancies (SDs) monitor convergence and non-convergence in approximate inference when exact integration and sampling are intractable. However, the computation of a Stein discrepancy can be prohibitive if the Stein operator - often a sum over likelihood terms or potentials - is expensive to evaluate. To address this deficiency, we show that stochastic Stein discrepancies (SSDs) based on subsampled approximations of the Stein operator inherit the convergence control properties of standard SDs with probability 1. In our experiments with biased Markov chain Monte Carlo (MCMC) hyperparameter tuning, approximate MCMC sampler selection, and stochastic Stein variational gradient descent, SSDs deliver comparable inferences to standard SDs with orders of magnitude fewer likelihood evaluations.